Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0136 |
| Annualized Std Dev | 0.0455 |
| Annualized Sharpe (Rf=0%) | 0.2993 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3046.0000 |
| NAs | 1.0000 |
| Minimum | -0.0345 |
| Quartile 1 | -0.0011 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0013 |
| Maximum | 0.0484 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0029 |
| Skewness | 0.0862 |
| Kurtosis | 46.7518 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0021 |
| Gain Deviation | 0.0021 |
| Loss Deviation | 0.0025 |
| Downside Deviation (MAR=210%) | 0.0087 |
| Downside Deviation (Rf=0%) | 0.0021 |
| Downside Deviation (0%) | 0.0021 |
| Maximum Drawdown | 0.1494 |
| Historical VaR (95%) | -0.0039 |
| Historical ES (95%) | -0.0067 |
| Modified VaR (95%) | -0.0019 |
| Modified ES (95%) | -0.0019 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-03-05 | 2020-03-19 | 2020-06-10 | -0.1494 | 68 | 11 | 57 |
| 2009-02-17 | 2009-03-09 | 2009-07-21 | -0.0821 | 108 | 15 | 93 |
| 2012-12-03 | 2018-12-04 | 2019-08-05 | -0.0642 | 1679 | 1513 | 166 |
| 2010-10-14 | 2011-02-08 | 2011-08-04 | -0.0429 | 204 | 81 | 123 |
| 2011-08-11 | 2011-10-10 | 2012-02-01 | -0.0342 | 120 | 42 | 78 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | 0.8 | -0.4 | -0.7 | -0.5 | -0.6 | 1 | -0.2 | -0.3 | 0.4 | -0.5 | -0.2 | -1.2 |
| 2010 | -0.5 | -0.2 | -0.3 | 0.4 | -0.1 | -0.3 | 0.2 | -0.1 | -0.1 | -0.5 | -1 | 0.3 | -2.1 |
| 2011 | -0.4 | -0.2 | 0.1 | 0.2 | 0 | -0.4 | 0 | 0.1 | 0.1 | -0.1 | -0.1 | 0.3 | -0.4 |
| 2012 | 0.2 | -0.3 | -0.1 | 0 | -0.3 | 0.1 | -0.2 | 0.3 | -0.1 | 0 | 0.2 | 0 | -0.1 |
| 2013 | -0.1 | -0.1 | -0.2 | -0.1 | -0.1 | 0.1 | -0.5 | -0.1 | -0.5 | -0.3 | -0.1 | -0.2 | -2.2 |
| 2014 | 0.1 | 0.1 | -0.3 | 0 | 0 | -0.3 | 0.5 | 0.1 | 0.2 | 0.1 | -0.3 | 0 | 0.2 |
| 2015 | 0.5 | 0.1 | 0.1 | -0.5 | -0.5 | -0.3 | 0.3 | -0.1 | -0.2 | 0 | 0.1 | 0 | -0.5 |
| 2016 | -0.5 | -0.8 | -0.1 | 0.1 | -0.3 | -0.1 | -0.5 | -0.2 | 0 | -0.1 | -0.4 | 0.2 | -2.5 |
| 2017 | -0.3 | -0.6 | 0.1 | -0.2 | -0.2 | -0.1 | -0.1 | -0.3 | -0.2 | -0.2 | -0.1 | 0 | -2.1 |
| 2018 | -0.4 | -0.2 | 0.1 | -0.4 | -0.4 | 0.1 | -0.4 | -0.1 | -0.4 | -0.2 | 0 | 0.2 | -1.9 |
| 2019 | -0.4 | -0.3 | -0.5 | -0.4 | 0.3 | -0.2 | 0.3 | -0.1 | -0.1 | -0.2 | 0 | 0 | -1.7 |
| 2020 | 0.2 | 0.3 | -0.8 | -0.5 | -0.1 | 0.1 | 0 | 0.1 | 0 | -0.2 | -0.3 | 0 | -1.1 |
| 2021 | -0.1 | 0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-02-11 30.7 SPY 83.6 0.0059 0.0032 -0.0385 -0.0975 -0.381 -0.339 -0.272 GLD 92.3 0.0231 0.0349
2 2009-02-12 30.8 SPY 83.7 0.0007 -0.0108 -0.0396 -0.0681 -0.386 -0.339 -0.279 GLD 93.2 0.0095 0.0338
3 2009-02-13 31.4 SPY 82.8 -0.0108 -0.0485 -0.0191 -0.0357 -0.388 -0.345 -0.284 GLD 92.6 -0.0067 0.033
4 2009-02-17 31.0 SPY 79.2 -0.0428 -0.0905 -0.0614 -0.131 -0.414 -0.380 -0.312 GLD 95.4 0.0313 0.0807
5 2009-02-18 30.7 SPY 79.0 -0.00240 -0.0491 -0.0709 -0.0876 -0.417 -0.384 -0.320 GLD 96.9 0.0153 0.0743
6 2009-02-19 30.8 SPY 78.2 -0.0107 -0.0648 -0.0297 -0.0853 -0.425 -0.395 -0.324 GLD 95.8 -0.0118 0.0377
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
